文章基本信息

标题：Predicting Electricity Pool Prices Using Hidden Markov Models ∗
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作者：Ouyang Wu ; Tianbo Liu ; Biao Huang 等
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2015
卷号：48
期号：8
页码：343-348
DOI：10.1016/j.ifacol.2015.08.205
语种：English
出版社：Elsevier
摘要：AbstractIn this paper, Alberta electricity spot market or Power Pool pricing is studied and the pool price is modeled through a hidden Markov model and multiple local ARX models. By selecting and preprocessing the exogenous factors (e.g. the price forecast from Alberta Electric System Operator (AESO), demand forecast and so forth), a one-hour ahead prediction model for pool price is formulated with parameters being estimated from the real data. Validation results show that this approach can improve the price forecasting and in particular, for high pool prices.
关键词：KeywordsHidden Markov ModelRegime-switchingAlberta's Electricity MarketLocal ModelsPeriodic PatternsAutoregressive Exogenous Model